Hi Adrian,
On Mon, 2008-02-18 at 20:35 +0000, Adrian O' Neill wrote:
> I was wondering if anyone had done any work in integrating Variance Gamma
> models (such as CGMY) in to QuantLib yet, or if it was on the roadmap?
No, nothing yet.
> If not, I understand I'd have to solve numerically using FFT - I know there was
> a FFT engine going in to QL, but I wasn't sure if that was complete yet?
Last I knew, there were a few stub files in the repository (you'll see
them in ql/math if you check out the trunk from Subversion) but the
implementation was not complete. Joe, do you have any comment on this?
Later,
Luigi
--
The wisdom of the wise and the experience of the ages are perpetuated
by quotations.
-- Benjamin Disraeli
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